st: RE: iv probit

Michael,
> -----Original Message-----
> From: Michael Barnes [mailto:michael_barnes_30@hotmail.com]
> Sent: 18 May 2007 01:35
> To: statalist@hsphsun2.harvard.edu
> Subject: iv probit
>
> Hi:
>
> I'm trying to do IV probit on Stata, but am having very
> little success. My model is:
>
> y=bo + b1x1 +b2x2 + e, z; where y is binary (0,1), x1 is a
> set of binary
> (0,1) rhs variables (both exogenous and endogenous), x2 is a
> set of continuous variables (both exogenous and endogenous),
> and z is a set of instruments for the endogenous variables in
> x2 and x1. Depending on the specification of the model, it
> may be overidentified.
>
> I am having problems doing a two-stage (iv) probit approach.
> Do you know of a canned module available for stata that will
> give me correct standard errors and efficient estimates with
> the set up I am using?
Which version of Stata are you using? Depending on the answer, it's
either built-in (which suggests you don't have Stata 9) or there's a
user-written IV probit available in the usual way.
findit iv probit
from within Stata should direct you to it.
--Mark
> If not, what is the best way to
> approach this problem? Should I generate the first stage
> predicted values seperately using OLS and probit, and then
> use the generated predicted values in my second stage probit
> regression? If so how do I construct my var/cov. matrix?
>
> Thanks for your help,
> Michael
>
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